I found a desktop background online that I rather like and instead of saving the file to disk normally and then setting it as the background, I simply pressed "Set as Desktop Background" from the context menu, which is an option that apparently comes up in Firefox for likely-sized images.

Now I wish to use it in my Ubuntu partitions as well. Where is the image stored on the filesystem when I set it as the desktop background without explicitly saving it to disk?

I dug around in the registry, and it seems this effect is browser specific. It seems that the desktop background path can be found in the registry at HKEY_CURRENT_USER\ControlPanel\Desktop\Wallpaper ; source

Notably, this seems to indicate that if a background is set from Firefox or IE more than one time, the previous one is overwritten, so there seems to be no "undo" unless you can find the image in the browser cache.